Efficient Capital Markets: II

Corporate financing and investment decisions when firms have information that investors do not have

1984 • 18,167 citations

Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers

1986 • 17,982 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Dividend Policy, Growth, and the Valuation of Shares

1961 • 6,581 citations

Using daily stock returns

1985 • 6,463 citations

An Empirical Evaluation of Accounting Income Numbers

1968 • 6,381 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Portfolio Selection: Efficient Diversification of Investments

1959 • 5,744 citations

The equity premium: A puzzle

1985 • 5,686 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

On the Impossibility of Informationally Efficient Markets

1980 • 4,825 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

The market for corporate control

1983 • 4,278 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

On the impossibility of informationally efficient markets

1980 • 3,972 citations

The Hubris Hypothesis of Corporate Takeovers

1986 • 3,809 citations

Portfolio Selection: Efficient Diversification of Investments.

1962 • 3,736 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Mutual Fund Performance

1966 • 3,489 citations

The Adjustment of Stock Prices to New Information

1969 • 3,289 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Dividend Policy under Asymmetric Information

1985 • 3,145 citations

Two Agency-Cost Explanations of Dividends

1984 • 3,128 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Asset returns and inflation

1977 • 2,770 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

Theory of the Consumption Function

1957 • 2,616 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS

1977 • 2,379 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Stock returns and the term structure

1987 • 2,322 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings

1990 • 2,121 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Stock return variances

1986 • 1,878 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

1989 • 1,791 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

The relationship between earnings' yield, market value and return for NYSE common stocks

1983 • 1,692 citations

Noise

1986 • 1,665 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM

1989 • 1,578 citations

Equity issues and offering dilution

1986 • 1,479 citations

Some anomalous evidence regarding market efficiency

1978 • 1,440 citations

Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings

1989 • 1,430 citations

The Present-Value Relation: Tests Based on Implied Variance Bounds

1981 • 1,402 citations

Fundamentals and Stock Returns in Japan

1991 • 1,389 citations

The effects of management buyouts on operating performance and value

1989 • 1,349 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Special Information and Insider Trading

1974 • 1,307 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

Insiders' profits, costs of trading, and market efficiency

1986 • 1,263 citations

A Theory of the Consumption Function

1958 • 1,257 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

An Empirical Investigation of the Arbitrage Pricing Theory

1980 • 1,152 citations

Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence

1988 • 1,150 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis

1980 • 1,082 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

Common stock repurchases and market signalling

1981 • 1,054 citations

Investment banking and the capital acquisition process

1986 • 1,024 citations

Determinants of Portfolio Performance

1986 • 1,007 citations

On corporate governance

1983 • 993 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

Merger bids, uncertainty, and stockholder returns

1983 • 979 citations

The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices

1972 • 944 citations

Seasoned equity offerings

1986 • 943 citations

Risk and return: The case of merging firms

1974 • 927 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

1979 • 866 citations

Stock Prices and Social Dynamics

1984 • 851 citations

The Impact of Initiating Dividend Payments on Shareholders' Wealth

1983 • 835 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

Structural and Return Characteristics of Small and Large Firms

1991 • 800 citations

The Behavior of Stock Prices on Fridays and Mondays

1973 • 797 citations

Anomalies in relationships between securities' yields and yield-surrogates

1978 • 779 citations

Dividends and taxes

1978 • 760 citations

Empirical Tests of the Consumption‐Oriented CAPM

1989 • 759 citations

Common stock repurchases

1981 • 737 citations

Merger proposals, management discretion and stockholder wealth

1980 • 677 citations

Market Timing and Mutual Fund Performance: An Empirical Investigation

1984 • 669 citations

Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984

1989 • 664 citations

COMMON STOCKS AS A HEDGE AGAINST INFLATION

1976 • 656 citations

Studies in the Theory of Capital Markets.

1973 • 644 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Radio Spectrum Allocation: Role of the Market

2016 • 618 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Some New Stock-Market Indexes

1966 • 558 citations

On the exclusion of assets from tests of the two-parameter model

1982 • 532 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

INFLATION AND RATES OF RETURN ON COMMON STOCKS

1976 • 524 citations

Efficient Capital Markets and Martingales

1989 • 517 citations

Nonstationary expected returns

1989 • 512 citations

A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL

1973 • 510 citations

Tender offers and stockholder returns

1977 • 504 citations

Measuring the Effects of Regulation with Stock Price Data

1985 • 503 citations

A monthly effect in stock returns

2011 • 503 citations

Time-Variation in Expected Returns

1988 • 489 citations

A monthly effect in stock returns

1987 • 480 citations

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

1990 • 479 citations

The postmerger share-price performance of acquiring firms

1991 • 478 citations

Market Timing and Mutual Fund Investment Performance

1984 • 458 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

An Examination of the Robustness of the Weekend Effect

1989 • 451 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

Interfirm Tender Offers and the Market for Corporate Control

1980 • 448 citations

Do Bad Bidders Become Good Targets?

1990 • 447 citations

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

1988 • 439 citations

The distribution of power among corporate managers, shareholders, and directors

1988 • 438 citations

Dividend information, stock returns and market efficiency-II

1978 • 435 citations

Vas Ist Das?

1983 • 433 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 397 citations

Dividend yields are equity risk premiums

1984 • 388 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION

1976 • 370 citations

Some Empirical Tests of the Theory of Arbitrage Pricing

1983 • 369 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Predicting Stock Returns in an Efficient Market

1990 • 323 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Systematic risk, total risk and size as determinants of stock market returns

1986 • 295 citations

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

1988 • 295 citations

Stock Prices and the Publication of Second-Hand Information

1978 • 292 citations

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory

1984 • 290 citations

The "Fisher Effect" for Risky Assets: An Empirical Investigation

1976 • 278 citations

The Arbitrage Pricing Theory: Is it Testable?

1982 • 256 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

The value line enigma (1965–1978)

1982 • 243 citations

Forward rates as predictors of future spot rates

1976 • 237 citations

Some tests of international equity integration

1988 • 225 citations

Inflation Uncertainty and Expected Returns on Treasury Bills

1976 • 199 citations

Stock Price Reactions to The Wall Street Journal's Securities Recommendations

1990 • 192 citations

Does the Stock Market Overreact to Corporate Earnings Information?

1989 • 175 citations

Risk and Return: Consumption Beta Versus Market Beta

1986 • 174 citations

Volatility Tests and Efficient Markets: A Review Essay

1991 • 164 citations

Volatility tests and efficient markets

1991 • 163 citations

Economic determinants of the relation between earnings changes and stock returns

1993 • 158 citations

On the Number of Factors in the Arbitrage Pricing Model

1986 • 151 citations

The effect of value line investment survey rank changes on common stock prices

1985 • 148 citations

On the current state of the stock market rationality hypothesis

1985 • 136 citations

Turnover, Fees and Pension Plan Performance

1987 • 121 citations

Macroeconomics and Finance: Essays in Honor of Franco Modigliani

1988 • 99 citations

Post-Keynesian Economics

1956 • 94 citations

The relation between the Value Line enigma and post-earnings-announcement drift

1992 • 92 citations

New Tests of the APT and Their Implications

1985 • 81 citations

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply

1984 • 81 citations

The consumption based asset pricing model

1981 • 62 citations

Stable Factors in Security Returns: Identification Using Cross-Validation

1988 • 59 citations

Value Line Rank and Firm Size

1987 • 56 citations

Market Efficiency and Value Line's Record

1990 • 56 citations

Some tests of the consumption-based asset pricing model

1988 • 48 citations

A Performance Analysis of Pension and Profit-Sharing Portfolios: 1966–1975

1977 • 31 citations

What do we Know about Stock Market “Efficiency”?

1989 • 26 citations

Incentive Fees: The Basic Issues

1987 • 20 citations

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation: Discussion

1988 • 20 citations

Macroeconomic Variables and Asset Pricing: Further Results

1990 • 20 citations

Money supply announcements: A retrospective

1991 • 20 citations

Does the Stock Market Rationally Reflect Fundamental Values?: Discussion

1986 • 15 citations

The Investment Performance of Corporate Pension Plans: Why They Do Not Beat the Market Regularly

1988 • 10 citations

Deleted Work

1955 • 0 citations